Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0120
Annualized Std Dev 0.1412
Annualized Sharpe (Rf=0%) -0.0849

Row

Daily Return Statistics

Close
Observations 5588.0000
NAs 1.0000
Minimum -0.1259
Quartile 1 -0.0032
Median 0.0000
Arithmetic Mean 0.0000
Geometric Mean 0.0000
Quartile 3 0.0034
Maximum 0.1845
SE Mean 0.0001
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0002
Variance 0.0001
Stdev 0.0089
Skewness 0.4020
Kurtosis 61.2519

Downside Risk

Close
Semi Deviation 0.0065
Gain Deviation 0.0071
Loss Deviation 0.0079
Downside Deviation (MAR=210%) 0.0115
Downside Deviation (Rf=0%) 0.0065
Downside Deviation (0%) 0.0065
Maximum Drawdown 0.5806
Historical VaR (95%) -0.0113
Historical ES (95%) -0.0211
Modified VaR (95%) -0.0026
Modified ES (95%) -0.0026
From Trough To Depth Length To Trough Recovery
1999-01-07 2008-12-16 NA -0.5806 5587 2502 NA
1999-01-05 1999-01-05 1999-01-06 -0.0036 2 1 1

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 -0.4 -0.4 0 0 -0.4 0 0 0.4 0.4 1.4 -1.9 0 -0.8
2000 -0.5 0 0 0.5 0.9 -0.9 0.9 0.4 0.5 0.9 0.9 0.1 3.9
2001 0.5 0.6 0.2 0.4 1.2 -0.1 0.5 -0.1 1.7 1.5 0 -0.1 6.4
2002 0 0.1 0.7 0.9 0 -0.1 0.8 0.3 -0.3 0.6 0.2 1.5 4.7
2003 0.6 -0.1 0.6 -0.1 0.1 0.5 -0.1 0.2 0.5 0.3 -0.1 0.6 3
2004 0 -0.3 0 0.3 0.9 0.6 0.7 0.2 -0.3 0.2 -0.1 0 2.2
2005 0.2 -0.1 0.5 0.1 0.3 -0.3 -0.1 0.5 0.7 -0.4 0.1 0.1 1.8
2006 0.3 -0.1 0.1 0 0.3 0.4 0.5 0.3 0 0.3 1.1 -0.1 3.2
2007 0.1 -0.1 0 0.1 -0.2 0.5 -0.7 1.1 0.3 0.5 1.6 0.7 4
2008 1 -1.8 0.2 0.3 -0.6 1.1 0.2 -0.6 2.5 -5.5 -2.1 2.1 -3.4
2009 -1.5 -0.1 1.2 0.4 0.3 0.3 0.5 -0.2 0.2 -0.7 1.8 -0.1 2.3
2010 0.7 0.4 -0.2 -0.4 -0.6 -0.1 1.2 -0.2 0 0.1 -1.5 2.5 1.9
2011 0.2 0.5 0.4 0 0 0.4 2.1 0.6 0 -0.1 -0.5 0.4 4
2012 1.4 0.5 -0.1 -0.1 -0.1 0.2 0.4 0.5 -0.1 0.3 0.6 0.4 3.9
2013 -0.4 0.7 0.1 0.3 -2.1 0.3 -0.9 -0.7 0.2 -0.7 -0.5 -0.5 -4.3
2014 0.4 0.3 -0.6 0.9 -0.3 -0.5 0.6 -0.1 0.3 -0.3 0.2 -0.4 0.4
2015 0.5 0.5 0.3 -0.3 0.2 0.1 0.3 0.1 -0.1 0 0.7 -0.2 2
2016 0 1 0.4 1.1 1.1 0.4 -1.1 0.6 0.4 0.5 -0.9 0.1 3.4
2017 0.1 -0.8 0.1 -0.2 0.5 0.4 1.1 0.3 -0.4 0.7 0.2 0.1 1.9
2018 -0.4 -0.6 0.2 0.9 0 0.1 -2.3 -0.2 -0.2 0.2 -0.4 1 -1.9
2019 -0.1 0.2 0.5 0.3 0.2 -0.4 0.5 0.5 0.3 -0.3 -0.1 0.6 2.4
2020 0.5 -0.5 -4.5 0.7 0.7 0.7 0.4 0.3 0.6 0.6 0.2 0.9 0.7
2021 0.2 1.1 -0.3 NA NA NA NA NA NA NA NA NA 1

Row

Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart